FUNCTIONAL FORM OF STOCK RETURN MODEL - SOME INTERNATIONAL EVIDENCE

Authors
CHAUDHURY MM LEE CF
Citation
Mm. Chaudhury et Cf. Lee, FUNCTIONAL FORM OF STOCK RETURN MODEL - SOME INTERNATIONAL EVIDENCE, The Quarterly review of economics and finance, 37(1), 1997, pp. 151-183
Citations number
27
Categorie Soggetti
Business Finance",Economics
Journal title
The Quarterly review of economics and finance → ACNP
ISSN journal
10629769
Volume
37
Issue
1
Year of publication
1997
Pages
151 - 183
Database
ISI
SICI code
1062-9769(1997)37:1<151:FFOSRM>2.0.ZU;2-8
Abstract
A linear (loglinear) empirical return model is rejected for more than half (one-third) of an international sample of 425 stocks. A generaliz ed functional form improves explanatory power and enhances the role of a global index in the stock return model. Additionally, the inclusion of a lagged dependent variable seems desirable for many stocks to all ow incomplete price response to domestic and global market variations.